市场化进程中的中国利率传导机制实证研究

An Empirical Study of China’s Interest Rate Transmission Mechanism in the Process of Marketization

摘要: 要实现我国货币政策框架的转型，最关键的问题就在于当货币政策的中介目标确定为政策利率时，能否建立有效的利率传导机制对经济起到实际的调控作用。本文结合货币政策框架的发展阶段，对利率在各个市场中的传导和变动进行了总结。再在理论的基础上，通过运用2009~2018年的时间序列数据，以央行贷款基准利率作为政策利率指标，对政策利率向银行间同业拆借利率、银行间拆借利率向国债收益率这两个阶段的传导进行计量回归分析。通过单因素回归、多因素回归、分段回归、滚动回归来深入考察两个阶段的传导效率及影响因素。实证结果说明，政策利率向货币市场利率传导的渠道已经较为成熟和通畅，而向债券市场的传递则仍然存在一定的阻滞，且对于不同期限的债券效率也有所差异，随着债券期限的延长传导效果逐渐降低；另一方面，利率传导效率随着时间的推进也在发生变化，具体来说贷款利率实现市场化前后，利率传导效率有明显差异，推进各项利率实现市场化有助于提高利率传导的效率。最后以实证分析结果为基础，本文就提高利率向债券市场的传导效率提出了简要的政策建议。

Abstract: To achieve the transformation of my country’s monetary policy framework, the most critical issue is whether an effective interest rate transmission mechanism can be established to actually regulate the economy when the intermediary target of monetary policy is determined to be the policy inter-est rate. This article combines the development stage of the monetary policy framework and sum-marizes the transmission and changes of interest rates in various markets. On the basis of theory, through the use of time series data from 2009 to 2018, the central bank loan benchmark interest rate is used as the policy interest rate indicator, and the policy interest rate is compared with the interbank lending rate and the interbank lending rate to the national debt yield. The phase con-duction is analyzed by quantitative regression analysis. Through single-factor regression, mul-ti-factor regression, segmented regression, and rolling regression, the conduction efficiency and in-fluencing factors of the two stages are deeply investigated. The empirical results show that the transmission channel of policy interest rate to the money market interest rate has been relatively mature and smooth, while the transmission to the bond market still has certain obstacles, and the efficiency of bonds of different maturities is also different. With the extension of bond maturity, the transmission effect is gradually decreasing; on the other hand, the efficiency of interest rate trans-mission is also changing over time. Specifically, before and after the marketization of loan interest rates, there is a significant difference in the efficiency of interest rate transmission. Promoting the marketization of various interest rates will help improve the efficiency of interest rate transmission. Finally, based on the results of empirical analysis, this article puts forward brief policy recommen-dations on improving the transmission efficiency of interest rates to the bond market.